First of all they usually settle within walking distance to a source of fresh water - some areas in Israel are the great exemption here.

And there is plenty of reason:

* historic: a lot of trade routes for sought-after goods went through deserts

* economic: rich fishing grounds just off the coast - see Western Sahara for an example (Boujdour and Dakhla being the main cities)

* economic: a lot of nomadic farmers live in deserts because they provide just enough food for the livestock

* politics: keep disputed areas occupied (Israel and Western Sahara as examples)

* politics: borders - these things tend keep people from freely moving to more hospitable areas

* nature: some think deserts are beautiful (count me in)

* spiritual: very low population density and a very tight connection to the forces of nature appeal to some people

Because it looks like human civilisations choose to live everywhere.

Because the desert might have other things humans find useful, such as minerals.

99.9% of the people living in Phoenix and Las Vegas aren't there to mine minerals. This is just a complete non sequitur. For an actual example of towns that exist primarily to supply labor for resource extraction, look at the Canadian towns in the Alberta tar-sands region. They are much, much smaller.

Many of them probably live in Phoenix in part because they like the climate--thus, there is something there that people find useful.